S Options History — April 2018

In April 2018, S traded between $4.87 and $6.54. ATM implied volatility averaged 49.0%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 2.2% (HV 20d: 51.1%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2018-04-10: Highest Volume — 64,715 contracts
  • 2018-04-10: Largest IV spike — 47.8% change
  • 2018-04-10: Highest IV Rank — 78.7%
  • 2018-04-27: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.70$4.87$6.54$4.87$5.61
Max Pain$6.71$6.00$7.00$6.00$6.00
ATM IV49.0%42.8%65.0%43.5%44.6%
Expected Move13.7%9.6%16.8%11.3%12.3%
HV 20d51.1%21.5%87.5%21.6%87.5%
HV 60d42.6%32.5%57.4%34.2%57.4%
IV Rank44.1%30.8%78.7%32.4%34.7%
IV Percentile66.6%41.3%99.6%44.0%52.4%
Term Structure4.6%-7.1%139.6%139.6%-3.0%
VWIV48.7%34.2%63.7%39.2%47.5%
Skew 25d-0.6%-7.4%5.2%-0.7%-1.7%
Skew 10d-3.6%-54.3%11.7%8.7%5.7%
Call IV 25d52.7%44.1%88.5%45.6%47.3%
Put IV 25d52.1%41.9%84.9%44.9%45.6%
Bid-Ask Spread %5.352.2814.143.668.11
Gamma HHI0.350.210.560.560.28
Net GEX-323.0K-997.8K610.5K-886.0K-20.1K
Net DEX32.9M-27.2M76.6M76.6M33.4M
Net VEX-335.1K-397.4K-267.9K-275.5K-267.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.102.512.510.66
Total Volume21,791.7626,87064,71516,23461,500
Total OI477,694.762446,459519,067446,459502,405

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$4.87$6.0043.5%11.3%21.6%32.4%39.2%-0.7%139.6%-886.0K76.6M-275.5K2.513.66N/AN/A4,62811,606166,727279,732
2018-04-03$4.96$6.0042.8%9.6%21.5%30.8%35.5%-1.7%0.7%-940.4K76.2M-294.9K0.333.36N/AN/A5,4161,809169,009289,758
2018-04-04$5.04$6.0043.3%9.8%22.7%31.9%34.2%1.1%0.5%-727.6K67.5M-303.4K0.313.70N/AN/A8,2152,569172,150280,162
2018-04-05$5.18$7.0043.2%12.3%25.1%31.8%42.0%1.9%0.4%-800.9K63.9M-304.0K0.422.61N/AN/A7,2903,050177,062280,252
2018-04-06$5.15$7.0043.6%12.5%25.1%32.6%42.5%-2.0%-6.9%-893.8K64.1M-308.2K0.543.58N/AN/A7,8844,238180,770282,717
2018-04-09$5.17$7.0044.0%12.2%25.2%33.3%42.0%-5.0%-0.8%-997.8K68.2M-290.2K0.472.28N/AN/A9,2104,345174,453282,027
2018-04-10$6.03$7.0065.0%15.9%60.6%78.7%55.6%-3.5%-7.1%-601.5K19.6M-385.0K0.535.79N/AN/A42,34022,375181,256284,025
2018-04-11$6.00$7.0052.9%15.6%60.5%52.7%55.4%1.9%-0.9%-665.4K24.4M-391.7K1.466.52N/AN/A19,19528,064200,085305,749
2018-04-12$5.89$7.0051.2%14.2%61.1%49.0%50.6%2.2%-2.4%-634.7K30.7M-397.4K1.079.69N/AN/A7,5128,075209,921309,146
2018-04-13$5.77$7.0049.8%14.6%61.8%45.8%51.1%3.2%1.4%-435.9K29.6M-377.0K1.437.80N/AN/A7,74911,049211,590290,226
2018-04-16$5.85$7.0048.9%13.8%61.6%44.0%49.4%-3.3%-2.3%-157.8K23.0M-358.4K1.883.37N/AN/A3,9267,372207,984277,240
2018-04-17$5.99$7.0048.3%13.8%60.8%42.8%48.3%1.9%-1.6%-46.2K14.0M-354.6K0.953.83N/AN/A5,8815,614209,452279,006
2018-04-18$5.99$7.0047.8%13.7%60.6%41.6%48.0%-0.9%-2.7%95.9K14.1M-346.7K0.233.39N/AN/A13,9453,211212,192280,319
2018-04-19$5.97$7.0047.9%13.8%60.5%41.8%49.0%5.2%-1.3%184.4K14.2M-352.8K0.544.37N/AN/A5,0062,728217,943280,322
2018-04-20$5.98$7.0047.4%13.7%59.3%40.7%48.2%-0.1%-2.5%-11.2K20.4M-348.2K0.755.07N/AN/A5,8714,390219,711280,235
2018-04-23$5.87$7.0049.0%14.6%59.1%44.3%51.0%-0.1%-2.9%-102.7K28.5M-318.0K0.926.37N/AN/A6,9306,397196,857256,451
2018-04-24$5.85$7.0047.4%14.6%59.2%40.7%53.5%-0.6%-2.4%-59.9K20.8M-332.3K0.704.30N/AN/A4,0362,834199,852260,536
2018-04-25$5.98$7.0057.3%15.5%58.1%62.1%54.9%-2.7%-6.0%61.6K18.2M-327.0K0.114.36N/AN/A20,2152,219200,951261,116
2018-04-26$5.99$6.0052.8%16.7%58.0%52.5%61.1%0.1%-1.5%245.4K9.5M-356.9K0.116.17N/AN/A21,3622,272210,488261,431
2018-04-27$6.54$6.0057.5%16.8%64.0%62.5%63.7%-7.4%-1.1%610.5K-27.2M-346.5K0.1014.14N/AN/A50,4584,841228,433261,849
2018-04-30$5.61$6.0044.6%12.3%87.5%34.7%47.5%-1.7%-3.0%-20.1K33.4M-267.9K0.668.11N/AN/A37,05824,442245,792256,613